The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete … financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator …

shares being used in arbitrage trades or by the indirect effect of ETF trading improving the liquidity of index stocks in the …

. In such a model, we prove that the absence of arbitrage condition implies the existence of a discount rate and a …

costs, even satisfying usual no-arbitrage properties, may admit arbitrage opportunities of the second kind. This means that …

price a given asset : the arbitrage approach through the existence of a risk-neutral density, the utility approach through a …

markets are assumed to be frictionless. The main result is that a price process is arbitrage free (or, equivalently … probability measure. The theory of pricing by arbitrage floows from there. Contingent claims can be priced by taking their … arbitrage. The new probabilities can be interpreted as state prices or as the intertemporal marginal ratyes of substitution of …

existence of an equivalent martingale measure. We also show that the only arbitrage-free pricing rules on the set of attainable …

In finite dimensional economies, it was proven by Werner [Werner, J., 1987. Arbitrage and the existence of competitive … equilibrium. Econometrica 55, 1403–1418.], that if there exists a no-arbitrage price (equivalently, under standard assumptions on … “of no-arbitrage price”. We define “fair utility weight vectors” as utility weight vectors for which the representative …

In securities markets, the characterization of the absence of arbitrage by the existence of state price deflators is ….M., 1981. Arbitrage and equilibrium in economies with infinitely many commodities. Journal of Mathematical Economics 8, 15 …-like condition”.We apply this result to the characterization of the no-arbitrage assumption in a general intertemporal framework. …